Install Wine in your System from the website winehq.org . Generally it comes pre installed but in case you don't have it then do it quickly.
Download the latest Ultrasurf file from the website http://ultrasurf.us/ . Unzip the downloaded file and you will get a .exe file.
Once you are done with step 1 and step 2, you just need to download two more file and you are done.
Pretty much done. Now you just have to copy both the files at two places. Go to your Home folder and press Ctrl+H. This shows up the hidden files. Locate .wine. Inside the folder follow the path
Paste both the files in both the location. Now you are done.
Now open the .exe file with the help of wine. It takes a while for Ultrasurf to load in Ubuntu, so be patient. Once the software loads change the settings just as you do in Windows.
Thats it !! All set to go ....